A note on the asymptotic distribution of the maxima in disaggregated time-series models.

DOI10.1016/j.spl.2003.03.001zbMath1048.62018OpenAlexW2007855443MaRDI QIDQ1423095

Manuel G. Scotto

Publication date: 14 February 2004

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2003.03.001

zbMATH Keywords

ARMA representationAutocovariance functionDisaggregated modelExtremal behaviourMA representation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

Cites Work

• Unnamed Item
• On the extremal behavior of sub-sampled solutions of stochastic difference equations
• Extremes and related properties of random sequences and processes
• On the exceedance point process for a stationary sequence
• Empirical modeling of exchange rate dynamics
• Temporal Aggregation of Garch Processes
• Effect of systematic sampling on arima models
• Extremes of Some Sub-Sampled Time Series
• TEMPORAL AGGREGATION IN THE ARIMA PROCESS
• Extremal Analysis of Processes Sampled at Different Frequencies

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